Type of Publication: | Working Paper/Technical Report |
URI (citable link): | http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-4941 |
Author: | Kohlmann, Michael |
Year of publication: | 2000 |
Series: | CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie ; 2000/11 |
Summary: |
In both complete and incomplete markets we consider the problem of fulfilling
a financial obligation x as well as possible at time T if the initial capital is not sufficient to hedge x. This introduces a new risk into the market and our main aim is to minimize this shortfall risk by making use of results from bsde theory. |
Subject (DDC): | 510 Mathematics |
Keywords: | capital requirement, hedging, Neyman-Pearson hedging, dynamic measures of risk, mean variance hedging |
Link to License: | In Copyright |
KOHLMANN, Michael, 2000. Neyman-Pearson Hedging and Dynamic Measures of Risk
@techreport{Kohlmann2000Neyma-696, series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie}, title={Neyman-Pearson Hedging and Dynamic Measures of Risk}, year={2000}, number={2000/11}, author={Kohlmann, Michael} }
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